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Quasi Ornstein-Uhlenbeck processes

Publikation: Working paperForskning

Dokumenter

  • T.N. Thiele Centre
  • Institut for Matematiske Fag
The question of existence and properties of stationary solutions to Langevin equations driven by noise processes with stationary increments is discussed, with particular focus on noise processes of pseudo moving average type. On account of the Wold-Karhunen decomposition theorem such solutions are in principle representable as a moving average (plus a drift like term) but the kernel in the moving average is generally not available in explicit form. A class of cases is determined where an explicit expression of the kernel can be given, and this is used to obtain information on the asymptotic behavior of the associated autocorrelation functions, both for small and large lags. Applications to Gaussian and Lévy driven fractional Ornstein-Uhlenbeck processes are presented. As an element in the derivations a Fubini theorem for Lévy bases is established.
OriginalsprogEngelsk
UdgivelsesstedÅrhus
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider27
StatusUdgivet - 15 dec. 2009

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